Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation

Jean-Bernard Chatelain (1)

1 CES - Centre d'économie de la Sorbonne

This paper proposes consistent moment selection procedures for generalized method of moments estimation based on the J test of over-identifying restrictions (Hansen [1982]) and on the Eichenbaum, Hansen and Singleton [1988] test of the validity of a subset of moment conditions.

Mots clés: Generalized method of moments; test of over-identifying restrictions; test of subset of over-identifying restrictions; Consistent Moment Selection

Domaines: Economies et finances

Jean-Bernard Chatelain. Improving Consistent Moment Selection Procedures for Generalized Method of Moments Estimation. Economics Letters, 2007, 95 (3), pp.380-385. ⟨10.1016/j.econlet.2006.11.011⟩. ⟨halshs-00112514v2⟩